Computation of sharp bounds on the distribution of a function of dependent risks

  • Authors:

  • Giovanni Puccetti;Ludger RüSchendorf

  • Affiliations:

  • Department of Mathematics for Decision Theory, University of Firenze, 50127 Firenze, Italy;Department of Mathematical Stochastics, University of Freiburg, 79104 Freiburg, Germany

  • Venue:
  • Journal of Computational and Applied Mathematics
  • Year:
  • 2012

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Abstract

We propose a new algorithm to compute numerically sharp lower and upper bounds on the distribution of a function of d dependent random variables having fixed marginal distributions. Compared to the existing literature, the bounds are widely applicable, more accurate and more easily obtained.